If your Internet Explorer Download Manager automatically deletes any file which you downloaded, probably it may be because of the corrupted Firewall or Antivirus program on your computer. It doesn't matter which version of the browser you are using, you will get a message “This Program contained a Virus and was deleted” after you complete the download. Try the below steps to resolve the problem.
1. Uninstall the corrupted Firewall or Antivirus program
2. Remove unauthorized or corrupted add-ons (Especially if there is any add on which is related with your Antivirus or Firewall program)